Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 26 (1D) Sep 29 (4D) Sep 30 (5D) Oct 01 (6D) Oct 02 (7D) Oct 03 (8D) Oct 06 (11D) Oct 07 (12D) Oct 08 (13D) Oct 09 (14D) Oct 17 (22D) Oct 24 (29D) Oct 31 (36D) Nov 07 (43D) Nov 14 (50D) Nov 21 (57D) Nov 28 (64D) Dec 05 (71D) Dec 12 (78D) Dec 19 (85D) Dec 26 (92D)
lower 655.076 649.051 647.629 646.343 645.161 644.06 641.119 640.231 639.378 638.558 632.843 628.657 624.953 621.595 618.501 615.616 612.904 610.337 607.893 605.557 603.315
upper 667.124 673.149 674.571 675.857 677.039 678.14 681.081 681.969 682.822 683.642 689.357 693.543 697.247 700.605 703.699 706.584 709.296 711.863 714.307 716.643 718.885
expected move 6.024 12.049 13.471 14.757 15.939 17.04 19.981 20.869 21.722 22.542 28.257 32.443 36.147 39.505 42.599 45.484 48.196 50.763 53.207 55.543 57.785
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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